Search: VAR models
RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
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Read me file for Does Monetary Policy Affect Non-mining Business Investment in Australia? Evidence from BLADE
10 Dec 2023
RDP
PDF
160KB
RDP 2023-09 supplementary information
https://www.rba.gov.au/publications/rdp/2023/2023-09/rdp-2023-09-read-me.pdf
A Suite of Models
16 May 2008
RDP
2008-02
The BVAR shrinks the parameters on integrated variables in an unrestricted VAR towards the univariate random walk model. ... Each model is briefly presented below along with an overview of how the individual models are estimated.
https://www.rba.gov.au/publications/rdp/2008/2008-02/sui-models.html
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The Unit-effect Normalisation in Set-identified Structural Vector Autoregressions
6 Oct 2022
RDP
PDF
2224KB
approach to conducting Bayesian inference in set-identified models, because it eliminates the. ... approach to Bayesian inference in set-identified models. In particular, because the model is.
https://www.rba.gov.au/publications/rdp/2022/pdf/rdp2022-04.pdf
What Caused the Decline in US Business Cycle Volatility? | Conference – 2005
11 Jul 2005
Conferences
The development and analysis of the model goes beyond the previous literature in two directions. ... The small macro model is not a symmetric VAR model. Lag lengths and the role of levels versus rates of change are handled differently in each of the
https://www.rba.gov.au/publications/confs/2005/gordon.html
Exchange Rates and Fundamentals: A Generalization
3 Dec 2007
Research Workshop
PDF
323KB
Reserve Bank of Australia Workshop 2007: Monetary Policy in Open Economies
https://www.rba.gov.au/publications/workshops/research/2007/nason.pdf
Financial-asset Prices and Monetary Policy: Theory and Evidence | Conference – 1997
21 Jul 1997
Conferences
Each of the VAR models is estimated with six lags of the endogenous variables and the shocks are identified by a long-run triangular Choleski identification scheme. ... Model 1 of Table 2 is a bivariate VAR model which only includes the real exchange
https://www.rba.gov.au/publications/confs/1997/smets.html
The FRB/US Model
10 Dec 2014
RDP
2014-02
I use the FRB/US model of the US economy, one of the main macroeconometric models used at the Federal Reserve Board of Governors. ... More important, Coenen et al (2012, Figure 7) find that FRB/US multipliers are similar to those of recent DSGE models,
https://www.rba.gov.au/publications/rdp/2014/2014-02/model.html
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Appendix B: Aggregate Data Results
19 Dec 2023
RDP
2023-09
100 basis point monetary policy shock, VAR model. Notes: Small VAR with (log) real trade-weighted index, (log) consumption, (log) non-mining business investment, (log) dwelling investment and cash rate. ... Difference between leader and other firm. Notes:
https://www.rba.gov.au/publications/rdp/2023/2023-09/appendix-b.html
References
3 Jan 2023
RDP
2022-09
Dungey M and A Pagan (2000), ‘A Structural VAR Model of the Australian Economy’, Economic Record, 76(235), pp 321–342. ... Jääskelä J and D Jennings (2010), ‘Monetary Policy and the Exchange Rate: Evaluation of VAR Models’, RBA Research
https://www.rba.gov.au/publications/rdp/2022/2022-09/references.html
See 13 more results from "RDP 2022-09"
Anticipatory Monetary Policy and the ‘Price Puzzle’
18 May 2017
RDP
PDF
2157KB
Media Office: rbainfo@rba.gov.au. Abstract. Vector autoregression (VAR) models often find that inflation increases in response to a tightening in monetary policy, although standard macroeconomics predicts the opposite. ... Sources: ABS; Authors’
https://www.rba.gov.au/publications/rdp/2017/pdf/rdp2017-02.pdf